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• W3034710810 abstract "We study the Fundamental Theorem of Asset Pricing for a general financial market under Knightian Uncertainty. We adopt a functional analytic approach which requires neither specific assumptions on the class of priors $$mathcal {P}$$ nor on the structure of the state space. Several aspects of modeling under Knightian Uncertainty are considered and analyzed. We show the need for a suitable adaptation of the notion of No Free Lunch with Vanishing Risk and discuss its relation to the choice of an appropriate technical filtration. In an abstract setup, we show that absence of arbitrage is equivalent to the existence of approximate martingale measures sharing the same polar set of $$mathcal {P}$$ . We then specialize our results to a discrete-time financial market in order to obtain martingale measures." @default.
• W3034710810 created "2020-06-19" @default.
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• W3034710810 date "2020-06-09" @default.
• W3034710810 modified "2023-09-27" @default.
• W3034710810 title "Arbitrage-free modeling under Knightian uncertainty" @default.
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• W3034710810 doi "https://doi.org/10.1007/s11579-020-00267-w" @default.
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